You don't compile assembly, but rather you assemble it. And it is done with assembler. Simple enough terminology. If you want to write pure assembly, go grab an assembler. If you want to inline assembly into a C or C++ program, that is very much possible. The IDE doesn't matter as long as the compiler supports it (it should).
Here's an article on how to do it with GCC (what code:blocks ships with):http://www.ibiblio.org/gferg/ldp/GCC-Inline-Assembly-HOWTO.html